Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0003
Annualized Std Dev 0.2104
Annualized Sharpe (Rf=0%) 0.0014

Row

Daily Return Statistics

Close
Observations 3532.0000
NAs 1.0000
Minimum -0.1391
Quartile 1 -0.0052
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0060
Maximum 0.1594
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0133
Skewness -0.5857
Kurtosis 20.8783

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0093
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0144
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.5363
Historical VaR (95%) -0.0189
Historical ES (95%) -0.0320
Modified VaR (95%) -0.0182
Modified ES (95%) -0.0182
From Trough To Depth Length To Trough Recovery
2007-12-07 2009-03-09 NA -0.5363 3319 314 NA
2007-06-04 2007-08-16 2007-09-27 -0.0970 82 53 29
2007-02-27 2007-03-05 2007-03-21 -0.0579 16 5 11
2007-11-07 2007-11-15 2007-11-28 -0.0311 15 7 8
2007-05-08 2007-05-10 2007-05-16 -0.0229 7 3 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 1.7 -0.8 0.1 -0.1 0.5 0.4 -0.1 1.8 1.3 -1.7 0 -0.6 2.4
2008 1.1 -1.7 2.8 1.3 0.7 -0.7 -1.9 -1.6 -0.2 -0.4 -8 3 -5.8
2009 -1 0.1 1 2.4 3 2.1 0.5 -1.7 -1.9 -2 2.5 -0.7 4.2
2010 1.8 1.8 1.7 -0.2 -1.8 1.1 -0.1 2.7 0.4 -1.3 1.7 0.3 8.3
2011 1.8 -1.2 -0.3 0.5 -1.4 0.9 -1.5 -1.2 -1.6 -3 -0.3 0.4 -6.8
2012 1.2 0.7 0.6 0.9 -1.3 2.6 -0.7 0.7 0.1 -0.5 -0.2 1.6 5.8
2013 0.5 -0.4 -0.6 -1.4 -1.1 -0.1 0.3 0 0.8 -0.7 1.6 0 -1.3
2014 0 0.1 0.3 -0.2 -0.2 0.6 0 0.4 -0.6 1 -0.4 -0.7 0.2
2015 -1.3 0.2 0 0.5 -0.7 0.6 0.8 -3.4 1 0.8 0.1 0.5 -1
2016 1.1 2.2 -1.9 -0.2 -0.4 -0.1 -1.2 1.2 0.5 -0.6 -1.3 -0.3 -1
2017 0.1 0.7 0.6 0.2 0.9 -0.1 0.4 0.1 0.2 0.2 0 -0.1 3.2
2018 -0.4 -0.4 1 -0.3 -2.2 0.8 -0.9 -0.9 0.6 1.1 0.1 -0.2 -1.7
2019 -0.3 0.1 0.3 -0.7 0.2 -0.4 0.4 0.1 -0.5 1 -0.7 0.5 0
2020 -1 -2.3 -5.2 -3 0.6 0.9 -0.7 -0.3 0.1 -0.6 1.6 -0.1 -9.8
2021 0.8 1.8 0 NA NA NA NA NA NA NA NA NA 2.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-31  50.8 SPY    144. 6.70e-3  -0.0014   0.0108   0.0423    0.119    0.267    0.304 GLD    64.8  0.0095   0.0078
2 2007-02-01  51.7 SPY    145. 6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
3 2007-02-02  52.0 SPY    145. 1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
4 2007-02-05  51.8 SPY    145. 3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
5 2007-02-06  52.7 SPY    145. 3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
6 2007-02-07  52.9 SPY    145. 2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart